Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0087
Annualized Std Dev 0.2249
Annualized Sharpe (Rf=0%) -0.0387

Row

Daily Return Statistics

Close
Observations 3339.0000
NAs 1.0000
Minimum -0.1324
Quartile 1 -0.0053
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0060
Maximum 0.1310
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0142
Skewness -0.4548
Kurtosis 15.9825

Downside Risk

Close
Semi Deviation 0.0104
Gain Deviation 0.0103
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.5946
Historical VaR (95%) -0.0198
Historical ES (95%) -0.0354
Modified VaR (95%) -0.0204
Modified ES (95%) -0.0266
From Trough To Depth Length To Trough Recovery
2008-01-03 2009-03-09 NA -0.5946 3327 297 NA
2007-12-17 2007-12-19 2007-12-31 -0.0279 10 3 7

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA 1 1
2008 0.4 -2.3 1 0.6 0.1 -0.8 -1.1 -0.9 -0.4 1.7 -4.9 2.1 -4.6
2009 -2.7 -0.9 0.9 2.7 2.2 -0.6 0.2 -2.1 -2.4 -3.7 2.2 -1.4 -5.7
2010 2 0.7 1.5 -0.3 -1.7 0.8 0.2 2.8 0.7 -0.5 2.3 0.3 9.1
2011 1.7 -1.5 0.5 0.1 -2 0.8 -1.3 -0.6 -2.3 -2.7 -0.7 0.1 -7.8
2012 1.3 1 0.7 0.6 -2.1 3 -0.1 0.6 0.6 0.8 -0.1 1.7 8.4
2013 0.7 -0.6 -0.2 -0.9 -1.6 0 1.1 -0.4 1 -0.1 0 0.5 -0.5
2014 -0.2 -0.1 0.4 0.3 0.4 0.3 -0.7 0.2 -0.6 1.1 -0.2 -0.8 0
2015 -1.4 1 0.6 0.4 -0.3 0.4 0.7 -2.8 0.2 0.4 0.5 -0.6 -1.1
2016 0.3 1.9 -0.6 0.3 0 0.1 -1 0.3 0.5 -0.6 -1.1 -0.3 -0.2
2017 -0.7 0 0.5 0 0.8 0.2 0.5 0.2 0.3 0 0.1 -0.2 1.8
2018 -0.4 -0.3 0.6 -0.1 -0.4 0.9 -1.3 -0.7 0.5 1.1 0.3 0.1 0.3
2019 -0.3 0.1 0.2 -0.8 0 -0.3 0.1 0 -0.4 1 -0.7 0.3 -1
2020 -0.9 -2 -5.9 -2.6 2 0.3 -0.9 -0.1 0.6 -0.8 1.6 -0.3 -8.9
2021 1.2 2.3 -0.1 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart